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Crowdsource question: What is your preferred API/source for historic futures (ES) options pricing data for the greeks? (NOTE: Over ten years ago, there was a similar question with several suggestions, mostly with fundamental and stock info, and none of these answers included futures data for options or Greeks data.

We are working on a model relating economic data and the impact on options prices, particularly the Greeks.

While I am comfortable with the sources I use for fundamental and economic data, I am still looking for a good source of historic futures (ES) options pricing data and, if possible, the Greeks.

What sources your you recommend or avoid?

Bigfoot_SQL
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  • Why don’t you calculate the Greeks yourself? – Bob Jansen Jul 24 '23 at 20:57
  • That is what I am doing at this point since I cannot find the data. However, there is a problem with only using the theoretical value.

    Unfortunately, the theoretical value differs from what the market actually trades at, the new market price in turn is used to determine the implied volatility for the next calculation.

    The project I am working on is studying that interaction.

     – Bigfoot_SQL Jul 25 '23 at 22:30
  • The greeks themselves aren't traded so there is no market value of the greeks. What exactly are you trying to do here? – Bob Jansen Jul 26 '23 at 11:03
  • We are comparing and validating portfolio hedging plans. This particular request has come out of the desire to test the plans over a larger data set.

    Our hope was to crowd source some information on what data sources are best. Since the most current data on this site was a list from over 10 years ago we were hoping someone would have more current information.

     – Bigfoot_SQL Jul 30 '23 at 23:58

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